Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Ex-Portfolio Manager with over 25 years of derivatives experience across products and geographies. Specializing in all things Vol - Relative Value volatility trading, Cross-Asset volatility strategies and event handicapping and trading. Develops own proprietary trading tools and analysis.  
Previously: Options Specialist and Market Maker at BMO, Managing Director Global Equity Derivatives at TDS. Most recently, Portfolio Manager of volatility portfolio at Polar Aset Management Partners (> $USD 7 billion multi-strategy hedge fund) focusing on cross-asset relative value volatility and derivative fund overlays.

Equity Derivatives and Volatility Specialist

EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

EQD | HSI Index Options Weekly (Feb 02-07): 94th Percentile 1-Week Move

Hong Kong Connect Flows (Feb 7th): ICBC, Tencent, Xiaomi

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

Hang Seng China Enterprises Index / Equity Derivatives

Hang Seng China Enterprises Index (HSCEI INDEX)

<ul>
<li>Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.</li>
<li>Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.</li>
<li>We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. </li>
</ul>


Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.
Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.
We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. 


EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move